Clinical Study of CMP-001 in Combination With Pembrolizumab or as a Monotherapy

Inclusion Criteria: * Histopathologically confirmed diagnosis of metastatic, or unresectable, malignant melanoma. Ocular melanoma participants are not eligible * Participants who are currently receiving treatment with any anti-programmed cell death-1/programmed death-ligand 1 (anti-PD-1/PD-L1) antibody, either alone or in combination and who are progressing. Participants must have received at least 4 doses of anti-PD-1/PD-L1 before enrolling into the CMP-001-001 study; or * Participants who have previously received any anti-PD-1/PD-L1 therapy, alone or in combination and progressed, regardless of the best overall response to prior anti-PD-1/PD-L1 based therapy. Participants must have received at least 4 doses of anti-PD-1/PD-L1 (Inclusion criterion for Part 1 only) * Participants must have at least one tumor lesion with a longest diameter of greater than or equal to (\>=)0.5 centimeter (cm) that can be easily palpated or detected by ultrasound to facilitate intratumoral injection of CMP-001 (that is \[i.e.\], tumor in skin, muscle, subcutaneous tissue or accessible lymph node) * Participants must have measurable disease by RECIST version 1.1. * Capable of understanding and complying with protocol requirements * A life expectancy of greater than 24 weeks at Screening * Eastern Cooperative Oncology Group (ECOG) performance status of 0 to 1. * Most recent laboratory values (within 3 weeks prior to Week 1 Day 1) before study entry meet the following standards: * Bone marrow function: neutrophil count \>=1,000/cubic millimeter (mm\^3); platelet count \>=75,000/mm\^3 and hemoglobin concentration \>8.0 grams per deciliter (g/dL). * Liver function: total bilirubin less than or equal to (\<=) 1.5 times the upper limit of normal (ULN) ranges of each institution, with the following exception: participants with Gilbert Disease serum bilirubin \> 3\*ULN; and aspartate aminotransferase (AST) and alanine aminotransferase (ALT) \<=3 times the ULN range of each institution * Lactate dehydrogenase (LDH) \<=2.0 times the ULN range of each institution * Renal function: serum creatinine \<=1.5 times the ULN range of each institution * The participant must sign a written informed consent form prior to the initiation of any study procedures. Adult participants unable to provide written informed consent on their own behalf will not be eligible for the study Part 1 Dose Expansion Phase participants must also meet the following inclusion criterion: • At least one additional lesion that is measurable and is not intended for injection (to allow an assessment of systemic antitumor effect). These lesions not intended for injection may be located in any metastatic site. Exclusion Criteria: * Pregnant or breastfeeding * Received investigational therapy (that is, small molecule or biologic) within 30 days prior to the start of CMP-001 dosing on Week 1 Day 1. Received prior therapy with anti- cytotoxic T-lymphocyte-associated protein 4 (anti-CTLA-4) antibody within 30 days (within 45 days for Part 2 participants) prior to the start of CMP-001 dosing on Week 1 Day 1. However, if an investigational therapy has a short half-life, a reduced wash out period may be acceptable with Sponsor approval * Known infection with human immunodeficiency virus (HIV), hepatitis B virus (HBV) or hepatitis C virus (HCV). If there is no known or documented history of HIV, Hepatitis B or Hepatitis C, the site is not required to do additional testing for these values at Screening * Developed autoimmune disorders of Grade 4 while on prior immunotherapy (Exclusion criterion for Part 1 only). Participants who developed autoimmune disorders of Grade \<=3 may enroll if the disorder has resolved to Grade \<=1 and the participant has been off systemic steroids at doses \> 10 milligrams per day (mg/day) for at least two weeks * Require systemic pharmacologic doses of corticosteroids greater than the equivalent of 10 mg/day prednisone; replacement doses, topical, ophthalmologic and inhalational steroids are permitted. Participants who have a history of adrenal insufficiency and are receiving greater than 10 mg/day corticosteroid may be eligible but only after Sponsor consultation. Participants who are currently receiving steroids at a dose of \<=10 mg/day do not need to discontinue steroids prior to enrollment * Active (i.e., symptomatic or growing) central nervous system (CNS) metastases. However, participants with active CNS metastases are eligible for the trial if * the metastases have been treated by surgery and/or radiotherapy, * the participant is off corticosteroids \>10 mg/day and is neurologically stable for at least 2 weeks prior to Screening * brain imaging (by CT, positron emission tomography \[PET\], MRI, or per site standards) completed within 3 months of screening (required for all participants) * Any concurrent uncontrolled illness, including mental illness or substance abuse, which in the opinion of the Investigator, would make the participant unable to cooperate or participate in the trial * Severe uncontrolled cardiac disease within 6 months of Screening, including but not limited to uncontrolled hypertension; unstable angina; myocardial infarction (MI) or cerebrovascular accident (CVA) * Requires prohibited treatment (i.e., non-protocol specified anticancer pharmacotherapy, surgery or conventional radiotherapy for treatment of malignant tumor) * Women of child-bearing potential who are unable or unwilling to use an acceptable method of contraception Main Criteria for Inclusion: Treatment Extension (CMP-001 alone or in combination with pembrolizumab) * Actively being treated in either Part 1 or Part 2 of this study. * Subject has signed an additional written ICF for Protocol Amendment 9 (v10.0) prior to receiving the first dose of CMP-001 and/or pembrolizumab in the Treatment Extension. Adult subjects unable to provide written informed consent on their own behalf will not be eligible for the study.